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Quantitative Finance · Glossary

What is Large-tick and small-tick assets?

Also known as: large-tick asset · small-tick asset

Definition 6.2 Microstructure and Execution · Chapter 6 — Tick Size, Queues and Priority

A large-tick asset is one whose spread is one tick almost all the time: the tick binds, and liquidity providers who would quote a narrower spread cannot. A small-tick asset has a spread of several ticks and a sparse book: the tick hardly constrains prices.

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